The Analysis of Relationship between the Soaring and Plummeting Shanghai Composite Index and the Dow Jones Industrial Average

With the opening of international financial market,frequent interaction between different securities markets have occurred.Research on the dependent relations between markets is of great significance.The Shanghai index of boom and bust process from 2014 to 2015 is divided into stages,analyzed and compared with the Dow Jones industrial average.The characteristics of the two markets are revealed.The dependence structure between the two is built by using the copula functions in the phases.According to the tail dependence coefficient,the correlation between the two indices is analyzed.The results show that the two indices have a strong dependence.